Risk return trade-off in relaxed risk parity portfolio optimization
Year of publication: |
2020
|
---|---|
Authors: | Gambeta, Vaughn ; Kwon, Roy |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 10, p. 1-28
|
Publisher: |
Basel : MDPI |
Subject: | asset allocation | equal-risk budget | marginal risk contribution | Markowitz | portfolio optimization | relaxation | risk parity | risk-based | robust | robust optimization |
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